FRTB Accelerator Cubes GuideRisk Factor [MAR10.9]
The risk-factors are identified by:
| Key Field | Description |
|---|---|
| As-of Date | Timestamp (at close of business) for the data (T-1) |
| Risk Factor Name | A unique identifier for the risk-factor (not including vertices, for Vega) |
| Risk Class | “FX” |
| Risk Measure | “Delta”, “Vega”, or “Curvature” |
| Option Maturity | The maturity of the option (Vega) |
The risk-factors have the following properties:
| Property Field | Description |
|---|---|
| Risk Factor Currency (Underlying) | The left-hand side of the currency pair used to calculate the sensitivity. This is also the Bucket. |
| Counter Currency | The right-hand side of the currency pair used to calculate the sensitivity. |
Implementation notes (Vectors of vertices):
- The Vega risk-factor name spans all maturities, so represents multiple [MAR10.9] risk-factors.
- In the input files (default file format), multiple vertices and sensitivities may either be provided on the same row or different rows.
- In the datastore, we use vectors to store the sensitivities for all tenors.
- In the cubes, we use analysis hierarchies to expand the vectors.